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<div class="iris_headline">IRIS Toolbox Reference Manual</div>




<h2 id="tseries/chowlin">chowlin</h2>
<div class="headline">Chow-Lin distribution of low-frequency observations over higher-frequency periods</div>

<h4 id="syntax">Syntax</h4>
<pre><code>[Y2,B,RHO,U1,U2] = chowlin(Y1,X2)
[Y2,B,RHO,U1,U2] = chowlin(Y1,X2,range,...)</code></pre>
<h4 id="input-arguments">Input arguments</h4>
<ul>
<li><p><code>Y1</code> [ tseries ] - Low-frequency input tseries object that will be distributed over higher-frequency observations.</p></li>
<li><p><code>X2</code> [ tseries ] - Tseries object with regressors used to distribute the input data.</p></li>
<li><p><code>range</code> [ numeric ] - Low-frequency date range on which the distribution will be computed.</p></li>
</ul>
<h4 id="output-arguments">Output arguments</h4>
<ul>
<li><p><code>Y2</code> [ tseries ] - Output data distributed with higher frequency.</p></li>
<li><p><code>B</code> [ numeric ] - Vector of regression coefficients.</p></li>
<li><p><code>RHO</code> [ numeric ] - Actually used autocorrelation coefficient in the residuals.</p></li>
<li><p><code>U1</code> [ tseries ] - Low-frequency regression residuals.</p></li>
<li><p><code>U2</code> [ tseries ] - Higher-frequency regression residuals.</p></li>
</ul>
<h4 id="options">Options</h4>
<ul>
<li><p><code>'constant='</code> [ <em><code>true</code></em> | <code>false</code> ] - Include a constant term in the regression.</p></li>
<li><p><code>'log='</code> [ <code>true</code> | <em><code>false</code></em> ] - Logarithmise the data before distribution, de-logarithmise afterwards.</p></li>
<li><p><code>'ngrid='</code> [ numeric | <em><code>200</code></em> ] - Number of grid search points for finding autocorrelation coefficient for higher-frequency residuals.</p></li>
<li><p><code>'rho='</code> [ <em><code>'estimate'</code></em> | <code>'positive'</code> | <code>'negative'</code> | numeric ] - How to determine the autocorrelation coefficient for higher-frequency residuals.</p></li>
<li><p><code>'timeTrend='</code> [ <code>true</code> | <em><code>false</code></em> ] - Include a time trend in the regression.</p></li>
</ul>
<h4 id="description">Description</h4>
<p>Chow,G.C., and A.Lin (1971). Best Linear Unbiased Interpolation, Distribution and Extrapolation of Time Series by Related Times Series. Review of Economics and Statistics, 53, pp. 372-75.</p>
<p>See also Appendix 2 in Robertson, J.C., and E.W.Tallman (1999). Vector Autoregressions: Forecasting and Reality. FRB Atlanta Economic Review, 1st Quarter 1999, pp.4-17.</p>
<h4 id="example">Example</h4>

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<div class="copyright">IRIS Toolbox. Copyright &copy; 2007-2014 Jaromir Benes.</div>
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